Título A guided data projection technique for classification of sovereign ratings: The case of European Union 27
Autores SÁNCHEZ MONEDERO, JAVIER, CAMPOY MUÑOZ, MARÍA DEL PILAR, Gutierrez, P. A., Hervas-Martinez, C., CAMPOY MUÑOZ, MARÍA DEL PILAR, SÁNCHEZ MONEDERO, JAVIER
Publicación externa No
Medio Appl. Soft. Comput.
Alcance Article
Naturaleza Científica
Cuartil JCR 1
Cuartil SJR 1
Impacto JCR 2.81000
Impacto SJR 1.59200
Ámbito Internacional
Fecha de publicacion 01/09/2014
ISI 000338706600028
Scopus Id 2-s2.0-84902657288
DOI 10.1016/j.asoc.2014.05.008
Abstract Sovereign rating has had an increasing importance since the beginning of the financial crisis. However, credit rating agencies opacity has been criticised by several authors highlighting the suitability of designing more objective alternative methods. This paper tackles the sovereign credit rating classification problem within an ordinal classification perspective by employing a pairwise class distances projection to build a classification model based on standard regression techniques. In this work the epsilon-SVR is selected as the regressor tool. The quality of the projection is validated through the classification results obtained for four performance metrics when applied to Standard & Poors, Moody's and Fitch sovereign rating data of U27 countries during the period 2007-2010. This validated projection is later used for ranking visualization which might be suitable to build a decision support system. (C) 2014 Elsevier B.V. All rights reserved.
Palabras clave Ordinal regression; Ordinal classification; Country risk; Sovereign risk; Rating agencies; Financial crisis
Miembros de la Universidad Loyola

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